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Changeset 143

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Timestamp:
04/29/08 21:27:27 (5 months ago)
Author:
snovik
Message:

New: Test of EuropeanOption? (not finished)

Files:

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  • trunk/QLNet/QLNet.vsmdi

    r142 r143  
    99      <TestLink id="3b1816a9-7785-f64f-bc52-7014af11e8e5" name="testSpreadDependency" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel,   PublicKeyToken=b03f5f7f11d50a3a" /> 
    1010      <TestLink id="2b04fe68-610a-b2de-e241-ef9a50fdb3fb" name="testRateDependency" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel,   PublicKeyToken=b03f5f7f11d50a3a" /> 
     11    </TestLinks> 
     12  </TestList> 
     13  <TestList name="European Option" id="54cbf5b2-e53c-4d4e-b01a-bb553a87602a" parentListId="8c43106b-9dc1-4907-a29f-aa66a61bf5b6"> 
     14    <TestLinks> 
     15      <TestLink id="2c301b54-28f3-f740-d533-ea50ffe20e42" name="testTGEOBinomialEngines" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel,   PublicKeyToken=b03f5f7f11d50a3a" /> 
     16      <TestLink id="9d6ab0b7-7eea-9f4d-6389-3d9f00cb9917" name="testJOSHIBinomialEngines" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel,   PublicKeyToken=b03f5f7f11d50a3a" /> 
     17      <TestLink id="bdd317a8-69cb-3cf1-c79f-a94d16dd971c" name="testFdEngines" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel,   PublicKeyToken=b03f5f7f11d50a3a" /> 
     18      <TestLink id="f6bb501b-f6ab-dfc6-8eba-ea8549a64095" name="testCRRBinomialEngines" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel,   PublicKeyToken=b03f5f7f11d50a3a" /> 
     19      <TestLink id="a3760359-b4f9-a586-36b8-67f4f3853e08" name="testTIANBinomialEngines" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel,   PublicKeyToken=b03f5f7f11d50a3a" /> 
     20      <TestLink id="ad487ce4-621b-5670-34e7-1714ab0c31a6" name="testJRBinomialEngines" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel,   PublicKeyToken=b03f5f7f11d50a3a" /> 
     21      <TestLink id="3d6c3b62-4724-675b-23d4-47989e70e293" name="testLRBinomialEngines" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel,   PublicKeyToken=b03f5f7f11d50a3a" /> 
     22      <TestLink id="c634bf0e-7e2c-5908-d535-0d29df99b963" name="testEQPBinomialEngines" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel,   PublicKeyToken=b03f5f7f11d50a3a" /> 
    1123    </TestLinks> 
    1224  </TestList> 

  • trunk/QLNet/QLNet/QLNet.csproj

    r136 r143  
    115115    <Compile Include="Instruments\Bonds\Zerocouponbond.cs" /> 
    116116    <Compile Include="Instruments\CapFloor.cs" /> 
     117    <Compile Include="Instruments\EuropeanOption.cs" /> 
    117118    <Compile Include="Instruments\fixedratebondforward.cs" /> 
    118119    <Compile Include="Instruments\forward.cs" /> 

  • trunk/QLNet/Test2008/Test2008.csproj

    r142 r143  
    4848    <Compile Include="T_Dates.cs" /> 
    4949    <Compile Include="T_DayCounters.cs" /> 
     50    <Compile Include="T_EuropeanOption.cs" /> 
    5051    <Compile Include="T_ExchangeRate.cs" /> 
    5152    <Compile Include="T_Instruments.cs" /> 

  • trunk/QLNet/Test2008/Utilities.cs

    r132 r143  
    6565            return Math.Sqrt(I); 
    6666        } 
     67 
     68        public static double relativeError(double x1, double x2, double reference) { 
     69            if (reference != 0.0) 
     70                return Math.Abs(x1-x2)/reference; 
     71            else 
     72                // fall back to absolute error 
     73                return Math.Abs(x1 - x2); 
     74        } 
    6775    } 
    6876